Open AccessA forecast comparison of volatility models: Does anything beat a GARCH(1,1)?
Author(s) -
Peter Reinhard Hansen,
Asger Lunde
Publication year - 2005
Publication title -
carolina digital repository (university of north carolina at chapel hill)
Language(s) - English
DOI - 10.17615/aqmb-er51
Subject(s) - autoregressive conditional heteroskedasticity , volatility (finance) , beat (acoustics) , econometrics , economics , physics , acoustics